Measures of Conditional Tail-Dependence Risk with Copulas

With the incorporation and globalization of financial market, the dependence relation between financial time series is strengthening, especially when the extreme events occur, the dependence effect is more obvious. Itpsilas very interesting to investigate the dependence structure and measures of tail part of time series. In this paper, some dependence probabilities and conditional tail-dependence risk measures are proposed to study the tail dependence risk of time series.